Functional form. Asymptotic properties. Heteroskedasticity

13 Maio 2014, 12:00 • NICOLETTA ROSATI

Reset Test. Examples: Exercises 9.1 and C9.1.

Asymptotic properties of the OLS estimator.

Heteroskedasticity: Introduction. Causes and consequences. Consistent estimation of the variance-covariance matrix.
 

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Inference

9 Maio 2014, 12:30 • NICOLETTA ROSATI

Test of zero slopes. Tests F of exclusion restrictions. Examples: Exercise 4.5 (iii), EN Jan 2009 3b).

Specification tests: Reset test. Example: EN Jan 2009, ex. 3d).

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Inference in the MLR model

8 Maio 2014, 14:30 • NICOLETTA ROSATI

Discussion of ICA 1.

Inference: construction of confidence intervals for a linear combination of parameters through the definition of an alternative model. Discussion of exercise C4.3.

F tests for joint hypotheses on several linear restrictions. Examples. Discussion of exercise 4.5 (i) and (ii).

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In-course assessment

6 Maio 2014, 12:00 • NICOLETTA ROSATI

Inquérito pedagógico.

In-course assessment 1.

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Inference in the MLR model

29 Abril 2014, 12:00 • NICOLETTA ROSATI

Normality assumption. Sample distribution of the OLS estimator.

Tests of hypotheses on one parameter. Statistical significance. Confidence intervals.

Tests on one linear combination of parameters.

Discussion of exercises n. 4.7 and 4.9 from exercises sheet on inference. Examples from past exam papers.

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